Rank: 62 based on 565 downloads (last 30 days) and 8 files submitted
photo

Marcelo Perlin

E-mail
Company/University
Federal University of Rio Grande do Sul (Escola de Administração)
Lat/Long
-30.03444480895996, -51.22836303710938

Personal Profile:

Hi, my name is Marcelo. Currently I'm working as an assistant teacher (professor adjunto) at UFRGS (Federal University of Rio Grande do Sul) in Porto Alegre, Brazil.

My main topics of interest are market microstructure and financial econometrics. Some of my research papers can be found in SSRN:

http://ssrn.com/author=467401

I'm not actually a cartoon. The photo you're seeing is the sketch of a popular Brazilian singer (Samuel Rosa). Some people say I look like him.

Feel free to contact me at my email.

Professional Interests:
Market microstructure, financial econometrics

 

Watch this Author's files

 

Files Posted by Marcelo View all
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Updated   File Tags Downloads
(last 30 days) 		Comments Rating
17 Aug 2011 Screenshot MS_Regress - A Package for Markov Regime Switching Models in Matlab Functions to Estimate, Simulate and Forecast Markov Regime Switching Models in Matlab Author: Marcelo Perlin markov switching, econometrics, analysis, optimization, statistics, finance 270 92
  • 4.5
4.5 | 32 ratings
10 Sep 2010 Screenshot Classical Pairs Trading Using MatLab Performs the classical pairs trading strategy with user defined parameters Author: Marcelo Perlin pairs trading, quantitative strategy, finance, analysis, financial modelling, modeling 138 22
  • 4.66667
4.7 | 9 ratings
22 May 2009 Screenshot Estimation and Simulation of ACD models in MatLab Functions and Scripts for Simulation and Estimation of ACD models Author: Marcelo Perlin acd models, finance, analysis, modeling, financial econometric..., duration 22 3
  • 5.0
5.0 | 3 ratings
10 May 2009 Screenshot Get Trading Data, from Yahoo, in your Matlab Workpace (or Excel) This package provides scripts and functions for downloading trading data from Yahoo server. Author: Marcelo Perlin database, yahoo, data import, trading data, stocks, statistics 48 8
  • 5.0
5.0 | 2 ratings
09 Sep 2008 Screenshot Estimation and Simulation of State Space (Kalman Filter) Models with Matlab Functions and Scripts for Simulation and Estimation of State Space models Author: Marcelo Perlin kalman filter, state space, analysis, finance, modeling, econometrics 51 4
  • 1.66667
1.7 | 3 ratings
Comments and Ratings by Marcelo View all
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Updated File Comments Rating
06 Jan 2012 MS_Regress - A Package for Markov Regime Switching Models in Matlab Functions to Estimate, Simulate and Forecast Markov Regime Switching Models in Matlab Author: Marcelo Perlin

Hi Tim,

I made an update to the package a while ago. I just tested it with R 2.14.2 and it is working fine.

Best,
Marcelo.
28 Sep 2011 MS_Regress - A Package for Markov Regime Switching Models in Matlab Functions to Estimate, Simulate and Forecast Markov Regime Switching Models in Matlab Author: Marcelo Perlin

Thanks Johnny, I'll keep it in mind for future releases.

Cheers.
02 Sep 2011 MS_Regress - A Package for Markov Regime Switching Models in Matlab Functions to Estimate, Simulate and Forecast Markov Regime Switching Models in Matlab Author: Marcelo Perlin

Glad to help"

Btw, you can always check if the new code is working by comparing the results against simulated data. That is, simulate a bivariate process with t-dist innovations, fit with with the new function and check whether the parameters from the simulation and estimation match.

Regards,
Marcelo.
02 Sep 2011 MS_Regress - A Package for Markov Regime Switching Models in Matlab Functions to Estimate, Simulate and Forecast Markov Regime Switching Models in Matlab Author: Marcelo Perlin

Hi Gilbert,

Sorry but no plans for a multivariate t distribution so far.

If you are going to implement it, all you need to do place the new likelihood function for the mv t distribution in the code and also add the new parameters in the estimation process. The first part is trivial, the second will require some good coding skills.

Marcelo.
15 Jul 2011 MS_Regress - A Package for Markov Regime Switching Models in Matlab Functions to Estimate, Simulate and Forecast Markov Regime Switching Models in Matlab Author: Marcelo Perlin

Hi Maria,

From the pdf file you can find a section on this error. Basically the problem is with the optimizaer. One simple solution I have seen to work is to divide the dependent variable by 100.

Regarding imposing identification, it is not possible unless you know the values beforehand.

Regards,
Marcelo.
Comments and Ratings on Marcelo's Files View all
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06 Jan 2012 Estimation and Simulation of State Space (Kalman Filter) Models with Matlab Functions and Scripts for Simulation and Estimation of State Space models Author: Marcelo Perlin Hall, ss4johnny

At a minimum, this file provides a relatively simple time-varying beta model that anyone could implement, even without any particular knowledge of state space models.

I'm not a big fan of the Matlab documentation on SSM, so at least I can use this first and then the Matlab one while learning more about it.
06 Jan 2012 MS_Regress - A Package for Markov Regime Switching Models in Matlab Functions to Estimate, Simulate and Forecast Markov Regime Switching Models in Matlab Author: Marcelo Perlin Perlin, Marcelo

Hi Tim,

I made an update to the package a while ago. I just tested it with R 2.14.2 and it is working fine.

Best,
Marcelo.
03 Jan 2012 MS_Regress - A Package for Markov Regime Switching Models in Matlab Functions to Estimate, Simulate and Forecast Markov Regime Switching Models in Matlab Author: Marcelo Perlin Kenyon, Tim

Hi,

I have the same problem as Thorsten Schmidt above regarding DONLP2 for the fMarkovSwitching program in R. Is there any way around this problem?

Thanks,

Tim
02 Nov 2011 MS_Regress - A Package for Markov Regime Switching Models in Matlab Functions to Estimate, Simulate and Forecast Markov Regime Switching Models in Matlab Author: Marcelo Perlin zhang, yuxia
28 Sep 2011 MS_Regress - A Package for Markov Regime Switching Models in Matlab Functions to Estimate, Simulate and Forecast Markov Regime Switching Models in Matlab Author: Marcelo Perlin Perlin, Marcelo

Thanks Johnny, I'll keep it in mind for future releases.

Cheers.
Top Tags Applied by Marcelo
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finance, analysis, modeling, statistics, econometrics
Files Tagged by Marcelo View all
  • 1 - 5 of
  • 8
Updated   File Tags Downloads
(last 30 days) 		Comments Rating
17 Aug 2011 Screenshot MS_Regress - A Package for Markov Regime Switching Models in Matlab Functions to Estimate, Simulate and Forecast Markov Regime Switching Models in Matlab Author: Marcelo Perlin markov switching, econometrics, analysis, optimization, statistics, finance 270 92
  • 4.5
4.5 | 32 ratings
10 Sep 2010 Screenshot Classical Pairs Trading Using MatLab Performs the classical pairs trading strategy with user defined parameters Author: Marcelo Perlin pairs trading, quantitative strategy, finance, analysis, financial modelling, modeling 138 22
  • 4.66667
4.7 | 9 ratings
22 May 2009 Screenshot Estimation and Simulation of ACD models in MatLab Functions and Scripts for Simulation and Estimation of ACD models Author: Marcelo Perlin acd models, finance, analysis, modeling, financial econometric..., duration 22 3
  • 5.0
5.0 | 3 ratings
10 May 2009 Screenshot Get Trading Data, from Yahoo, in your Matlab Workpace (or Excel) This package provides scripts and functions for downloading trading data from Yahoo server. Author: Marcelo Perlin database, yahoo, data import, trading data, stocks, statistics 48 8
  • 5.0
5.0 | 2 ratings
09 Sep 2008 Screenshot Estimation and Simulation of State Space (Kalman Filter) Models with Matlab Functions and Scripts for Simulation and Estimation of State Space models Author: Marcelo Perlin kalman filter, state space, analysis, finance, modeling, econometrics 51 4
  • 1.66667
1.7 | 3 ratings

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